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SECURITIES (Tables)
 12 Months Ended
Dec. 31, 2019
Investments, Debt and Equity Securities [Abstract]  
Rollforward of Company's Securities
The following represents a rollforward of the activity for the Company’s securities, excluding securities transferred or pledged to securitization vehicles, for the year ended December 31, 2019:
 
Residential Securities
 
Commercial Securities
 
Total
 
(dollars in thousands)
Beginning balance January 1, 2019
$
92,467,030

 
$
156,758

 
$
92,623,788

Purchases
62,703,862

 
244,820

 
62,948,682

Sales and transfers (1)
(26,506,345
)
 
(92,366
)
 
(26,598,711
)
Principal paydowns
(17,180,225
)
 
(43,746
)
 
(17,223,971
)
(Amortization) / accretion
(1,114,344
)
 
778

 
(1,113,566
)
Fair value adjustment
4,190,579

 
6,779

 
4,197,358

Ending balance December 31, 2019
$
114,560,557

 
$
273,023

 
$
114,833,580

 
 
 
 
 
 
(1)     Includes transfers to securitization vehicles.
Schedule of Available-for-sale Securities Reconciliation
The following tables present the Company’s securities portfolio, excluding securities transferred or pledged to securitization vehicles, that was carried at their fair value at December 31, 2019 and 2018:
 
December 31, 2019
 
Principal /
Notional
 
Remaining Premium
 
Remaining Discount
 
Amortized
Cost
 
Unrealized
Gains
 
Unrealized
Losses
 
Estimated Fair Value
Agency
(dollars in thousands)
Fixed-rate pass-through
$
102,448,565

 
$
4,345,053

 
$
(46,614
)
 
$
106,747,004

 
$
2,071,583

 
$
(95,173
)
 
$
108,723,414

Adjustable-rate pass-through
1,474,818

 
72,245

 
(1,400
)
 
1,545,663

 
10,184

 
(31,516
)
 
1,524,331

CMO
156,937

 
2,534

 
—

 
159,471

 
545

 
—

 
160,016

Interest-only
4,486,845

 
862,905

 
—

 
862,905

 
2,787

 
(157,130
)
 
708,562

Multifamily
1,619,900

 
19,981

 
(2,280
)
 
1,637,601

 
82,292

 
(2,696
)
 
1,717,197

Reverse mortgages
54,553

 
5,053

 
—

 
59,606

 
550

 
(309
)
 
59,847

Total agency securities
$
110,241,618

 
$
5,307,771

 
$
(50,294
)
 
$
111,012,250

 
$
2,167,941

 
$
(286,824
)
 
$
112,893,367

Residential credit
 

 
 

 
 

 
 

 
 

 
 

 
 

CRT (1)
$
517,110

 
$
15,850

 
$
(2,085
)
 
$
515,950

 
$
16,605

 
$
(1,233
)
 
$
531,322

Alt-A
160,957

 
250

 
(22,306
)
 
138,901

 
12,482

 
—

 
151,383

Prime
277,076

 
3,362

 
(17,794
)
 
262,644

 
14,142

 
(529
)
 
276,257

Prime interest-only
391,234

 
3,757

 
—

 
3,757

 
—

 
(590
)
 
3,167

Subprime
370,263

 
1,356

 
(59,727
)
 
311,892

 
37,205

 
(118
)
 
348,979

NPL/RPL
164,180

 
351

 
(440
)
 
164,091

 
191

 
(14
)
 
164,268

Prime jumbo (>=2010 vintage)
182,709

 
1,026

 
(4,281
)
 
179,454

 
5,360

 
(150
)
 
184,664

Prime jumbo (>=2010 vintage) Interest-only
554,189

 
9,001

 
—

 
9,001

 
—

 
(1,851
)
 
7,150

Total residential credit securities
$
2,617,718

 
$
34,953

 
$
(106,633
)
 
$
1,585,690

 
$
85,985

 
$
(4,485
)
 
$
1,667,190

Total Residential Securities
$
112,859,336

 
$
5,342,724

 
$
(156,927
)
 
$
112,597,940

 
$
2,253,926

 
$
(291,309
)
 
$
114,560,557

Commercial
 
 
 
 
 
 
 
 
 
 
 
 
 
Commercial Securities
$
263,965

 
10,873

 
$
(9,393
)
 
$
265,445

 
$
7,710

 
$
(132
)
 
$
273,023

Total securities
$
113,123,301

 
$
5,353,597

 
$
(166,320
)
 
$
112,863,385

 
$
2,261,636

 
$
(291,441
)
 
$
114,833,580

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
December 31, 2018
 
Principal /
Notional
 
Remaining Premium
 
Remaining Discount
 
Amortized
Cost
 
Unrealized
Gains
 
Unrealized
Losses
 
Estimated Fair Value
Agency
(dollars in thousands)
Fixed-rate pass-through
$
81,144,650

 
$
3,810,808

 
$
(36,987
)
 
$
84,918,471

 
$
264,443

 
$
(2,130,362
)
 
$
83,052,552

Adjustable-rate pass-through
4,835,983

 
247,981

 
(1,337
)
 
5,082,627

 
7,127

 
(151,770
)
 
4,937,984

CMO
11,113

 
53

 
—

 
11,166

 
55

 
—

 
11,221

Interest-only
6,007,008

 
1,179,855

 
—

 
1,179,855

 
1,446

 
(307,412
)
 
873,889

Multifamily
1,802,292

 
12,329

 
(5,332
)
 
1,809,289

 
32,753

 
(3,477
)
 
1,838,565

Reverse mortgages
34,650

 
4,175

 
—

 
38,825

 
69

 
(110
)
 
38,784

Total agency investments
$
93,835,696

 
$
5,255,201

 
$
(43,656
)
 
$
93,040,233

 
$
305,893

 
$
(2,593,131
)
 
$
90,752,995

Residential credit
 

 
 

 
 

 
 

 
 

 
 

 
 

CRT
$
542,374

 
$
28,444

 
$
(15,466
)
 
$
555,352

 
$
7,879

 
$
(11,134
)
 
$
552,097

Alt-A
202,889

 
349

 
(31,238
)
 
172,000

 
10,559

 
(198
)
 
182,361

Prime
353,108

 
2,040

 
(23,153
)
 
331,995

 
12,821

 
(830
)
 
343,986

Subprime
423,166

 
1,776

 
(65,005
)
 
359,937

 
35,278

 
(594
)
 
394,621

NPL/RPL
3,431

 
—

 
(30
)
 
3,401

 
37

 
—

 
3,438

Prime jumbo (>=2010 vintage)
225,567

 
1,087

 
(4,691
)
 
221,963

 
1,439

 
(2,744
)
 
220,658

Prime jumbo (>=2010 vintage) Interest-only
860,085

 
12,820

 
—

 
12,820

 
4,054

 
—

 
16,874

Total residential credit securities
$
2,610,620

 
$
46,516

 
$
(139,583
)
 
$
1,657,468

 
$
72,067

 
$
(15,500
)
 
$
1,714,035

Total Residential Securities
$
96,446,316

 
$
5,301,717

 
$
(183,239
)
 
$
94,697,701

 
$
377,960

 
$
(2,608,631
)
 
$
92,467,030

Commercial
 
 
 
 
 
 
 
 
 
 
 
 
 
Commercial Securities
$
155,921

 
$
9,778

 
$
(9,740
)
 
$
155,959

 
$
1,659

 
$
(860
)
 
$
156,758

Total securities
$
96,602,237

 
$
5,311,495

 
$
(192,979
)
 
$
94,853,660

 
$
379,619

 
$
(2,609,491
)
 
$
92,623,788

 
 
 
 
 
 
 
 
 
 
 
 
 
 

(1)
Principal/Notional amount includes $14.9 million of a CRT interest-only security as of December 31, 2019.
Types of Agency Mortgage Backed Securities
The following table presents the Company’s Agency mortgage-backed securities portfolio, excluding securities transferred or pledged to securitization vehicles, by issuing Agency at December 31, 2019 and 2018:
 
 
December 31, 2019
 
December 31, 2018
Investment Type
(dollars in thousands)
Fannie Mae
$
76,656,831

 
$
60,270,432

Freddie Mac
36,087,100

 
30,397,556

Ginnie Mae
149,436

 
85,007

Total
$
112,893,367

 
$
90,752,995

 
 
 
 
Schedule of Residential Investment Securities by Estimated Weighted Average Life Classification
The following table summarizes the Company’s Residential Securities, excluding securities transferred or pledged to securitization vehicles, at December 31, 2019 and 2018, according to their estimated weighted average life classifications:
 
December 31, 2019
 
December 31, 2018
 
Estimated Fair Value
 
Amortized
Cost
 
Estimated Fair Value
 
Amortized
Cost
Estimated weighted average life
(dollars in thousands)
Less than one year
$
3,997

 
$
4,543

 
$
13,447

 
$
13,670

Greater than one year through five years
36,290,254

 
35,581,833

 
11,710,172

 
11,928,973

Greater than five years through ten years
77,732,756

 
76,504,845

 
80,202,479

 
82,218,464

Greater than ten years
533,550

 
506,719

 
540,932

 
536,594

Total
$
114,560,557

 
$
112,597,940

 
$
92,467,030

 
$
94,697,701

 
 
 
 
 
 
 
 
Schedule of Continuous Unrealized Loss Position
The following table presents the gross unrealized losses and estimated fair value of the Company’s Agency mortgage-backed securities, accounted for as available-for-sale where the fair value option has not been elected, by length of time that such securities have been in a continuous unrealized loss position at December 31, 2019 and 2018.
 
December 31, 2019
 
December 31, 2018
 
Estimated Fair Value (1)
 
Gross Unrealized Losses (1)
 
Number of Securities (1)
 
Estimated Fair Value (1)
 
Gross Unrealized Losses (1)
 
Number of Securities (1)
 
(dollars in thousands)
Less than 12 months
$
7,388,239

 
$
(24,056
)
 
139

 
$
22,418,036

 
$
(432,352
)
 
713

12 Months or more
11,619,280

 
(105,329
)
 
352

 
43,134,843

 
(1,853,257
)
 
1,476

Total
$
19,007,519

 
$
(129,385
)
 
491

 
$
65,552,879

 
$
(2,285,609
)
 
2,189

 
 
 
 
 
 
 
 
 
 
 
 
(1)     Excludes interest-only mortgage-backed securities and reverse mortgages.